Examples of Itô càdlàg rough paths
From MaRDI portal
Publication:4683540
DOI10.1090/proc/14142zbMath1434.60314arXiv1709.05988OpenAlexW2756250384MaRDI QIDQ4683540
Publication date: 21 September 2018
Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1709.05988
Gaussian processessemimartingalesCàdlàg rough pathsLyons-Victoir extension theoremtypical price paths
Sample path properties (60G17) Actuarial science and mathematical finance (91G99) Rough paths (60L20)
Related Items (4)
A càdlàg rough path foundation for robust finance ⋮ On the $p$th variation of a class of fractal functions ⋮ Càdlàg rough differential equations with reflecting barriers ⋮ Besov rough path analysis (with an appendix by Pavel Zorin-Kranich)
Cites Work
- Unnamed Item
- A note on higher dimensional \(p\)-variation
- A new formulation of asset trading games in continuous time with essential forcing of variation exponent
- Rough paths in idealized financial markets
- Pathwise stochastic integrals for model free finance
- Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
- Differential equations driven by Gaussian signals
- Continuous-time trading and the emergence of volatility
- Variation conditionelle des processus stochastiques. (Conditional variation of random processes)
- Differential equations driven by rough signals
- On maps of bounded \(p\)-variation with \(p>1\)
- A superhedging approach to stochastic integration
- Differential equations driven by rough paths with jumps
- Canonical RDEs and general semimartingales as rough paths
- On non-continuous Dirichlet processes
- General rough integration, Lévy rough paths and a Lévy-Kintchine-type formula
- Purely pathwise probability-free Itô integral
- Random walks and Lévy processes as rough paths
- An extension theorem to rough paths
- An inequality of the Hölder type, connected with Stieltjes integration
- On theФ-variation of stochastic processes with exponential moments
- Multidimensional Stochastic Processes as Rough Paths
- La variation d'ordre p des semi-martingales
- A course on rough paths. With an introduction to regularity structures
- Path-wise solutions of stochastic differential equations driven by Lévy processes
This page was built for publication: Examples of Itô càdlàg rough paths
